MEASURE CREDIT RISK WITH GREATER PRECISION

CreditProfile is a comprehensive solution for investors to monitor and quantify the changing
credit characteristics of private label mortgage-backed securities (PLMBS). CreditProfile is
an easy-to-use web-based tool that computes four principal risk measures (Breakpoint
Ratio, Effective Thickness, Average Loss and Expected Shortfall), along with an overall
composite risk score, called the CreditProfile Category. The tool offers both a single
security screen and a portfolio mode.